The leaders of Turkey and Saudi Arabia have discussed forming a joint working group to look into the disappearance of Saudi journalist Jamal Khashoggi, who went missing October 2 at the Saudi consulate in Istanbul.

State news agencies from both countries said Turkish President Recep Tayyip Erdogan and Saudi King Salman talked about the case in a Sunday night phone call.

Saudi Arabia and Turkey have given differing accounts of what happened to Khashoggi after he entered the consulate.

Turkish officials have said they believe Khashoggi was murdered, while Saudi Arabia calls the accusation 'baseless' and says Khashoggi left the consulate on his own. Neither side has provided clear evidence to support its version of events.

Saudi Arabia dismissed threats of sanctions from U.S. President Donald Trump, who told the CBS news show '60 Minutes' there would be 'severe punishment' if it is determined Khashoggi was killed inside the Saudi consulate.

WATCH: '60 Minutes' interview

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The official Saudi Press Agency quoted an unnamed government source as saying, 'The Kingdom affirms its total rejection of any threats and attempts to undermine it, whether by threatening to impose economic sanctions, using political pressures, or repeating false accusations.'

The statement said the Saudi government 'also affirms that if it receives any action, it will respond with greater action,' noting that its economy, as the world's biggest oil exporter, 'has an influential and vital role in the global economy.'

Khashoggi was living in self-imposed exile in the United States and had criticized Saudi Crown Prince Mohammed bin Salman in columns written for The Washington Post.

Trump said 'nobody knows yet' what happened inside the consulate, 'but we'll probably be able to find out' if Salman ordered Khashoggi's murder. Trump added the United States 'would be very upset and angry if that were the case.'

But Trump, who has frequently boasted about his business ties with the kingdom, suggested during the interview that ending U.S. arms sales to Saudi Arabia would not be an option, saying, 'I don't want to hurt jobs.'

A key U.S. lawmaker, Republican Senator Marco Rubio, told CNN on Sunday that if Saudi agents 'went medieval' on Khashoggi, 'that would be an outrage.' He said any response to Khashoggi's killing 'needs to be strong, not symbolic,' including the possibility of cutting off U.S. weapons sales to Riyadh, or it would undermine the U.S.'s moral standing in the world.

In protest of Khashoggi's disappearance, several U.S. businesses leaders have pulled out of next week's Future Investment Initiative in Riyadh, dubbed 'Davos in the Desert,' after the annual meeting of world economic interests in Switzerland. Rubio said U.S. Treasury Secretary Steven Mnuchin should also withdraw, but White House economic adviser Larry Kudlow said the Treasury chief is still planning to go.

Media reports say Khashoggi may have recorded his own death on his Apple Watch. The reports say Khashoggi turned on the sound recording capability on his device as he entered the Saudi consulate, and that the watch was connected to the iCloud and cell phone he left with his fiancee, Hatice Cengiz, before he went inside.

Cengiz said she waited for Khashoggi to come out of the consulate, but he never left.

The Washington Post reported in recent days that the Turkish government informed U.S. officials it was in possession of video recordings that prove Khashoggi was killed inside the consulate, but have not made them public.